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Cointegration and Consumption Risks in Asset Returns
16 references·16 citing·43 second hopsampled
Cointegration and Consumption Risks in Asset Returns (2007)Cointegration and Consumption Risks in As…Consumption Risk and the Cross Section of Expected Returns (2005)Consumption Risk and the Cros…Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Resurrecting the (C)CAPM: A C…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Canonical Cointegrating Regressions (1992)Canonical Cointegrating Regre…Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Pitfalls and Opportunities: W…Stock Prices, Earnings, and Expected Dividends (1988)Stock Prices, Earnings, and E…COINTEGRATION AND ERROR CORRECTION: REPRESENTATION (1987)COINTEGRATION AND ERROR CORRE…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Understanding spurious regressions in econometrics (1986)Understanding spurious regres…Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns (1983)Stochastic Consumption, Risk …A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’ (1981)A new approach to decompositi…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…Global Political Uncertainty and Asset Prices (2019)Global Political Uncertainty …News Shocks and the Production-Based Term Structure of Equity Returns (2018)News Shocks and the Productio…Dividend Dynamics and the Term Structure of Dividend Strips (2015)Dividend Dynamics and the Ter…Who Are the Value and Growth Investors? (2014)Who Are the Value and Growth …Investor Information, Long-Run Risk, and the Term Structure of Equity (2014)Investor Information, Long-Ru…Interest Rate Risk and the Cross Section of Stock Returns (2014)Interest Rate Risk and the Cr…Long-Run Risk and the Persistence of Consumption Shocks (2013)Long-Run Risk and the Persist…An estimation of economic models with recursive preferences (2013)An estimation of economic mod…Advances in Consumption-Based Asset Pricing: Empirical Tests (2013)Advances in Consumption-Based…Growth to value: Option exercise and the cross section of equity returns (2012)Growth to value: Option exerc…Dynamic Valuation Decomposition Within Stochastic Economies (2012)Dynamic Valuation Decompositi…Empirical cross-sectional asset pricing: a survey (2011)Empirical cross-sectional ass…Asset Pricing Tests with Long-run Risks in Consumption Growth (2011)Asset Pricing Tests with Long…Long Run Risks, the Macroeconomy, and Asset Prices (2010)Long Run Risks, the Macroecon…Cash Flow, Consumption Risk, and the Cross‐section of Stock Returns (2009)Cash Flow, Consumption Risk, …Long Term Risk: An Operator Approach (2006)Long Term Risk: An Operator A…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)A Theory of the Consumption Function (1960)Optimal Properties of Exponentially Weighted Forecasts (1960)Time Series Analysis: Forecasting and Control (1977)Trends and random walks in macroeconmic time series (1982)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A Theory of the Term Structure of Interest Rates (1985)Efficient Capital Markets: II (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The equity premium: A puzzle (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Presidential Address: Discount Rates (2011)Value and Momentum Everywhere (2013)… and the Cross-Section of Expected Returns (2015)Time Series Analysis, Forecasting and Control. (1971)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Forecasting Economic Time Series (2000)Tourism as a long-run economic growth factor: the Spanish case (2002)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Economic Forces and the Stock Market (1986)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Does the Stock Market Overreact? (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Efficient Market Hypothesis and Its Critics (2003)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)Investor Psychology and Security Market Under‐ and Overreactions (1998)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
  • 1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’2,308 cited
  • 1986Understanding spurious regressions in econometrics1,782 cited
  • 1983Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns1,549 cited
  • 2001Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying1,445 cited
  • 1992Canonical Cointegrating Regressions1,383 cited
  • 1991Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots1,314 cited

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  • 1987COINTEGRATION AND ERROR CORRECTION: REPRESENTATION1,262 cited
  • 2005Consumption Risk and the Cross Section of Expected Returns581 cited
  • Cited by

    • 2019Global Political Uncertainty and Asset Prices213 cited
    • 2014Investor Information, Long-Run Risk, and the Term Structure of Equity149 cited
    • 2014Who Are the Value and Growth Investors?145 cited
    • 2009Cash Flow, Consumption Risk, and the Cross‐section of Stock Returns141 cited
    • 2006Long Term Risk: An Operator Approach137 cited
    • 2010Long Run Risks, the Macroeconomy, and Asset Prices134 cited
    • 2015Dividend Dynamics and the Term Structure of Dividend Strips132 cited
    • 2012Dynamic Valuation Decomposition Within Stochastic Economies131 cited
    • 2011Asset Pricing Tests with Long-run Risks in Consumption Growth129 cited
    • 2011Empirical cross-sectional asset pricing: a survey114 cited
    • 2012Growth to value: Option exercise and the cross section of equity returns109 cited
    • 2013Advances in Consumption-Based Asset Pricing: Empirical Tests107 cited
    • 2013Long-Run Risk and the Persistence of Consumption Shocks103 cited
    • 2018News Shocks and the Production-Based Term Structure of Equity Returns92 cited
    • 2013An estimation of economic models with recursive preferences90 cited
    • 2014Interest Rate Risk and the Cross Section of Stock Returns89 cited